Richard B. Edelman

AMEX-to-NYSE Transfers, Market Microstructure, and Shareholder Wealth

Each year some corporate managers decide to change the listing of their firms common stock from the American Stock Exchange (AMEX) to the New York Stock Exchange (NYSE). In making this decision to switch auction markets, managers presumably act in the best interests of their shareholders. The potential implications of this managerial decision are far-reaching because differences between the AMEX and NYSE may affect security returns and share value. Little empirical research is available about whether shareholders benefit if a firm switches the trading location of its common stock from the AMEX to the NYSE.

The post-dual listing anomaly

Abstract Prior research on the market behavior around listing on a national exchange shows that stock prices rise before listing but decline significantly afterward. There is no fully satisfactory explanation for the pattern of negative abnormal stock returns seen after listing. Such market behavior, called the post-listing anomaly, is puzzling if capital markets are semistrong form efficient. The purpose of the current study is to investigate whether the post-listing anomaly also exists after dual listing. The study examines the return behavior of 87 stocks listed on the American or New Yotk Stock Exchanges that dually listed on the Pacific Stock Exchange between 1984 and 1990. Using standard event study methodology, the evidence shows significantly negative abnormal returns after dual listing, which supports the post-dual listing anomaly. Splitting the sample by several volume-based liquidity measures shows that the post-dual listing market behavior differs for stocks with low versus high liquidity. Stocks with low liquidity before dual listing show significantly greater negative returns than their high liquidity counterparts.

The impact of implementing the airline deregulation act on stock returns

Between 1978 and 1985, the airline industry underwent a period of phased-in deregulation. Airline deregulation resulted from passage of the Airline Deregulation Act on October 24, 1978. This paper investigates the impact of two main provisions of this Act on the security returns in the airline industry. Using event study methodology, this study examines the impact of (1) airlines becoming responsible for determining their domestic routes and schedules (December 31, 1981) and (2) airlines being allowed to set domestic fares and engage in price competition (January 1, 1983) on the returns of a sample of airline common stocks. The study finds a positive market response around the phase-in provision permitting airlines to assume responsibility for determining their domestic routes and schedules, but a negative response around the phase-in provision allowing airlines to set domestic fares and engage in price competition.

A new approach to ratings on utility bonds: Reply

Gallinger’s Exhibit 1 is an irrelevant test for multicollinearity. Although the off-diagonal elements are not zero, no test is presented that shows these elements to be significantly different from zero. An alternative test with an easy interpretation is simply to regress each offending variable against the remaining variables. This procedure, usually called a ”tolerance test,” is based on the assumption that multicollinearity is significant if the regression is significant. Below are the results of two tolerance tests. First the rate-basedvaluation and then the call-provision variable was regressed on all the remaining variables: